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I prioritized the User Stories this weekend, classifying as "High" those that are required to get a minimal system up and running. I coded my Close Position function, which handles closing any position. As mentioned it isn't yet in TS, but I'll post once I debug it. It handles Limit, Stop...

Here is a summary, without commentary, on the core system thus far: Path Independence Systems should be able to determine the current position at any given time, regardless of trade history. It should not matter what the position was last period - the current period is controlling. An...

If you're just skimming along, this is an important post. Also, a good example of applying programmer skills to stock trading. Decision Matrices One way to formulate a strategy is to identify a series of conditions that then determine your position. For example: If the price is less...

The book "Professional Stock Trading System Design and Automation" by Mark Conway and Aaron Behle cover candlestick pattern trading in detail. I have this book and typed in every single function (available for purchase from the authors through their web site) and tested it and such. I didn't...

Yes Corey, I am trying to leverage my programming expertise while marginalizing my relative lack of trading experience. I am fairly new to Agile programming, but I really like the quick delivery times so that's how I am running this project. Note how breaking it up like this would allow easy...

In my limited experience, it is not possible to get one chart to be aware of what's going on in other charts or in the portfolio overall. In my system (under development) this function is the responsibility of the Operator. In other words, non-automated. Good luck, Damien

Imagine you are not a trader, but rather someone hired to operate a stock trading strategy. What kinds of things should you be able to do? Also, if the real trader calls on the phone and asks you to do something, what types of requests are likely? As an Operator I can: 1. View current...

As a Strategy designer/programmer I can: 1. Set Stop Loss exit criteria to be managed by the system. 2. Set Profit Target(s) to be managed by the system. 3. Send notifications via the system. 4. Open a position via the system. 5. Close a position via the system. 6. Expect the system...

Good to know guys. As far as KISS, yes, that is the idea actually. When you are designing strategies or actually trading, it will be very simple because so much is handled by the system governance functions. For example, you never have to compute the number of shares or create buy/sell orders...

I had some systems that looked a lot like this in backtesting, but I wasn't properly factoring in slippage and fees (mostly slippage). I took it live, and the first month, I made 100R, which I knew was so far out of likelihood that it made me nervous. The next couple months it came back to...

If you want to cut it very close I would recommend you have extended trading hours enabled. I believe this is an extra fee (been a while since I did it) but would be worth it. Personally I use a "LastBar" on a 10 or 15 minute minute chart and don't try to be too cute with the close...

Buy an investment property in the USA and use that as a base for TradeStation or other automated platform? Probably would need an SSN and pay US taxes on gains, though :-( Damien

I use a "max position" variable to make sure new orders aren't filled beyond a certain amount - but I only have one buy order in play at a time. Could be tricky if all the orders are live, since a rapid move could fill multiple orders. Perhaps an Order Cancels Order structure could deal with...

User Stories for the role of Investor: As an Investor I can: 1. View my portfolio balance and uninvested cash at any time. 2. View my performance by: * Time period * Strategy * Security 3. View my total market exposure. ___________________________ I think it's...

User Stories for the Researcher/Tester: As a researcher/tester I can: * Test a strategy over any past period using system functions (Start and End dates). * Test using a non-production version of code (built-in development/test environment support). * Perform Monte Carlo analysis on...

Following up on the focus on stakeholders (real or virtual), the point here is to use logic and interests as the main drivers for the system - not a single trading idea. We're constructing the playing field and creating the ground rules. This is all a form of discipline, of due diligence. A...

OK, well it doesn't appear anyone wants to discuss the tenets, so I'll assume their perfect in every day. Next phase is to decide what we want, based on different roles. There are several roles involved with designing, running, and investing in an automated trading system. While as a...

Empirical Optimization Optimization should be used only to answer well-formed empirical questions. In the absence of a specific question to answer, variables should not be optimized. In particular, strategies should not rely on fitting variable inputs in order to be viable. __________...

Portfolio Risk Consistency The basic risk measure, R, should be consistent across system strategies. While certain conditions may justify the increase or decrease of risk of a given position, the basic amount (1R) should be consistent. _______________________ The standard risk unit. The...

Corey, I think stops are the most frustrating part of a system. I have a function, which I call a Support Buffer, which basically "protects" a stop. So if your stop is $100 with a $1 buffer, the position won't close until $99. But if the price gets back to $101, it would re-purchase. I...